Strategy Zoo / S1262

PriceMomentum_V1262

ARCHIVEDhybrid

structuralrestricted to trend regimes ['SIDEWAYS']

Fitness

0.1589

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

PriceMomentum_V1210S1210 · gen 55ARCHIVEDstructural

added entry filter: breakout_20 == 1

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1262  [hybrid]
require regime.trend in ['SIDEWAYS']
if flat and (ret_20d > 0.184 and breakout_20 == 1):
    position = 1.0
if long and ret_20d < -0.0017:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.8%	6.1%	-3.6%	-1.2%
Total Return	-20.0%	19.3%	-12.8%	-16.8%
Sharpe	-0.30	0.61	-0.24	-0.08
Sortino	-0.06	0.14	-0.11	-0.02
Calmar	-0.11	0.49	-0.14	-0.04
Volatility	8.1%	10.5%	12.4%	9.9%
Max DD	-25.9%	-12.5%	-25.3%	-33.5%
Win Rate	40.0%	100.0%	57.1%	55.0%
Avg Win	4.5%	6.3%	3.9%	4.8%
Avg Loss	-6.4%	0.0%	-9.1%	-7.3%
Payoff	0.71	5.00	0.43	0.66
Expectancy	-2.0%	6.3%	-1.7%	-0.7%
Profit Factor	0.48	5.00	0.57	0.80
Trades	10	3	7	20
Avg Holding Days	6.2	8.7	11.7	8.5
Turnover	2.5	2.0	3.7	2.7
Exposure	2.6%	3.0%	8.0%	4.0%

Growth of $100

PriceMomentum_V1262 vs TSLA Buy & Hold

PriceMomentum_V1262 TSLA Buy & HoldIn-sampleValidationHidden test

Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
2016	-4.6%	-0.78	-6.7%	1
2017	0.0%	0.00	0.0%	0
2018	10.7%	1.21	-5.7%	2
2019	-11.9%	-0.78	-14.0%	1
2020	0.1%	0.09	-12.5%	1
2021	0.0%	0.00	0.0%	0
2022	19.2%	1.75	-2.0%	2

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	278	0.0%	0.00	0%
hidden test	EXPENSIVE	83	9.2%	0.98	6%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	3.1%	0.21	5%
hidden test	LOW VOLATILITY	439	5.6%	0.53	9%
hidden test	MEDIUM VOLATILITY	250	-23.8%	-1.85	9%
hidden test	NORMAL	812	-4.3%	-0.33	9%
hidden test	SIDEWAYS	294	-5.5%	-0.25	24%
hidden test	UPTREND	371	-3.0%	-0.77	1%
train	DOWNTREND	518	-2.4%	-0.70	0%
train	EXPENSIVE	311	7.0%	0.94	5%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.1%	0.01	5%
train	LOW VOLATILITY	745	-1.4%	-0.31	2%
train	MEDIUM VOLATILITY	568	-7.1%	-1.11	1%
train	NORMAL	1,601	-4.4%	-0.52	2%
train	SIDEWAYS	592	-9.0%	-0.63	8%
train	UPTREND	902	1.9%	0.67	1%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	2.2%	0.11	8%
validation	HIGH VOLATILITY	258	1.3%	0.08	4%
validation	LOW VOLATILITY	183	0.0%	0.00	0%
validation	MEDIUM VOLATILITY	315	14.4%	1.56	4%
validation	NORMAL	474	9.6%	1.27	3%
validation	SIDEWAYS	206	14.6%	0.77	10%
validation	UPTREND	425	4.4%	0.97	1%

Trades (full period)

20 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-05-29	$428.35	$435.79	7.15%	15
2025-05-13	2025-05-22	$334.07	$341.04	4.90%	8
2024-09-30	2024-10-03	$261.63	$240.66	-4.58%	4
2023-11-29	2024-01-03	$244.14	$238.45	0.49%	24
2023-09-15	2023-09-28	$274.39	$246.38	-13.05%	10
2023-05-31	2023-06-02	$203.93	$213.97	2.96%	3
2023-02-10	2023-03-08	$196.89	$182.00	-9.64%	18
2022-08-02	2022-08-05	$300.59	$288.17	3.61%	4
2022-03-23	2022-04-05	$333.04	$363.75	15.01%	10
2020-04-30	2020-05-15	$52.13	$53.28	0.15%	12
2019-07-25	2019-08-02	$15.25	$15.62	-11.91%	7
2018-10-29	2018-11-19	$22.32	$23.56	6.86%	16
2018-06-14	2018-06-15	$23.85	$23.88	3.55%	2
2016-03-21	2016-03-24	$15.89	$15.18	-4.55%	4
2015-04-28	2015-04-29	$15.37	$15.50	-0.66%	2
2014-01-22	2014-01-24	$11.90	$11.64	2.52%	3
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2012-11-21	2012-11-23	$2.16	$2.14	-1.80%	2
2012-07-17	2012-07-20	$2.22	$2.12	-10.45%	4
2012-02-15	2012-02-21	$2.24	$2.30	5.22%	4